Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/72719
Authors: 
Hlouskova, Jaroslava
Wagner, Martin
Year of Publication: 
2009
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 244
Abstract: 
In this paper we present finite T mean and variance correction factors and corresponding response surface regressions for the panel cointegration tests presented in Pedroni (1999, 2004), Westerlund (2005), Larsson et al. (2001), and Breitung (2005). For the single equation tests we consider up to 12 regressors and for the system tests vector autoregression dimensions up to 12 variables. All commonly used specifications for the deterministic components are considered. The sample sizes considered are T ϵ {10, 20, 30, 40, 50, 60, 70, 80, 90, 100, 200, 500}.
Subjects: 
panel cointegration test
correction factor
response surface
simulation
JEL: 
C12
C15
C23
Document Type: 
Working Paper

Files in This Item:
File
Size
299.12 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.